Analysing the Efficiency of Factor Investments on the Russian Equity Market

Student: Lapteva Iuliia

Educational Programme: Financial Engineering (Master)

Year of Graduation: 2024

This study analyzes the efficiency of factor models for asset valuation in the Russian stock market. The research compares three models: the classic Fama-French 3-factor model, the Carhart model, and a custom model incorporating the state ownership factor (SOE). The analysis is based on data from 90 portfolios formed based on combinations of two factors. The focus is on testing hypotheses regarding the impact of the SOE factor, traditional factors (Market_factor, SMB, HML), and the momentum factor (MOM) on stock returns. Results indicate that including the SOE factor slightly enhances the model's explanatory power. The study highlights the need to adapt international models to the specificities of the Russian market and provides recommendations for investors on using factor strategies.

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